Getting Realized & Implied volatilities for different time horizon for STOXX50E and SPX (.SP500) ind

Wasim Akram01

I can pull realized data for multiple time horizon but I need series of data. Below is an example for .STOXX50E

However this is for one data point i.e, only latest value. I need series of data, example like data series for last 6 months or 1 year or 5 years for every business day for different time horizon.

Also, I do not see implied volatility field for each time horizon in code creator app. I also require this in data series like above for realized volatility.

Can you please help ?

1. import refinitiv.data.eikon as ek
3. ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')
5. df, err = ek.get_data(
6. instruments = ['.STOXX50E'],
7. fields = [
8. 'TR.Volatility10D',
9. 'TR.Volatility30D'
10. ]
11. )
13. display(df)

Jirapongse

anonymous user

Thank you for reaching out to us.

This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists. For content availability type questions, I recommend you raise a ticket at Product Support | MyRefinitiv for the product concerned.

jonathan.legrand

Hi anonymous user
have you had a look at this article?
Historical Implied Volatility and Greeks of Index Options 'At The Money' On Update and in the Past using Python Type Hints